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Publications by Semir Ben Ammar

Asset Pricing and Extreme Event Risk: Common Factors in ILS Fund Returns

Journal of Banking and Finance

English

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Displacement Risk and Asset Returns

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Tail Risk and Hedge Fund Returns

SSRN Electronic Journal

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Semi-Strong Factors in Asset Returns

SSRN Electronic Journal

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Asset Pricing Models: Implications for Expected Returns and Portfolio Selection

Review of Financial Studies

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Asset Pricing Models: Implications for Expected Returns and Portfolio Selection

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Coskewness Risk Decomposition, Covariation Risk, and Intertemporal Asset Pricing

Journal of Financial and Quantitative Analysis

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Risk Measures for Autocorrelated Hedge Fund Returns

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Common Factors in International Bond Returns

SSRN Electronic Journal

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Do the Common Risk Factors Always Capture Strong Variation in Stock Returns?

Journal of Asset Management

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International Management

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